A new confidence interval for all characteristic roots of a covariance matrix.
Fumitake SakaoriTakayuki YamadaAkihisa KawamuraTakakazu SugiyamaPublished in: Comput. Stat. (2007)
Keyphrases
- covariance matrix
- confidence intervals
- sample size
- covariance matrices
- model selection
- gaussian mixture
- geometrical interpretation
- principal component analysis
- mahalanobis distance
- correlation matrix
- objective function
- eigenvalues and eigenvectors
- multivariate gaussian
- final result
- test set
- markov chain
- upper bound
- monte carlo
- estimation error
- eigendecomposition
- cma es
- class conditional densities
- computational complexity